International Papers

1. Kim, J. H., Kim, S., Lee, Y., Kim, W. C., & Fabozzi, F. J. (2025). Enhancing mean-variance portfolio optimization through GANs-based anomaly detection. Annals of Operations Research, 346, 217-244. [SCIE]

2. Kim, J. H., Lee, Y., Kim, W. C., Kang, T., & Fabozzi, F. J. (2024). An overview of optimization models for portfolio management, The Journal of Portfolio Management, 51(2), 101-117. [SSCI]

3. Lee, Y., Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2024). An overview of machine learning for portfolio optimization, The Journal of Portfolio Management, 51(2), 131-148. [SSCI]

4. Bae, S., Lee, Y., Kim, W. C., Kim, J. H., & Fabozzi, F. J. (2024). Goal-based investing with goal postponement: Multistage stochastic mixed-integer programming approach. Annals of Operations Research, https://doi.org/10.1007/s10479-024-06146-7. [SCIE]

5. Hwang, Y., Park, J., Kim, J. H., Lee, Y., & Fabozzi, F. J. (2024). Heterogeneous trading behaviors of individual investors: A deep clustering approach. Finance Research Letters, 65, 105481. [SSCI]

6. Kim, J. H. (2023). What if ChatGPT were a quant asset manager. Finance Research Letters, 58, 104580. [SSCI]

7. Kim, J. H., Kim, W. C., Lee, Y., Choi, B., & Fabozzi, F. J. (2023). Robustness in portfolio optimization. The Journal of Portfolio Management, 49(9), 140-159. [SSCI]

8. Lee, Y., Thompson, J., Kim, J. H., Kim, W. C., & Fabozzi, F. A. (2023). An overview of machine learning for asset management. The Journal of Portfolio Management, 49(9), 31-63. [SSCI]

9. Lee, J., Kwon, D., Lee, Y., Kim, J. H., & Kim, W. C. (2023). Large-scale financial planning via a partially observable stochastic dual dynamic programming framework. Quantitative Finance, 23(9), 1341-1360. [SSCI]

10. Kim, J. H., Han, J., Kang, T., & Fabozzi, F. J. (2023). A machine learning approach for comparing the largest firm effect. Emerging Markets Review, 54, 100995. [SSCI]

11. Kim, J. H. (2022). Analyzing diversification benefits of cryptocurrencies through backfill simulation. Finance Research Letters, 50, 103238. [SSCI]

12. Bae, G., & Kim, J. H. (2022). Observing cryptocurrencies through robust anomaly scores. Entropy, 24(11), 1643. [SCIE]

13. Kim, J. H., Lee, Y., Kim, W. C., & Fabozzi, F. J. (2022). Goal-based investing based on multi-stage robust portfolio optimization. Annals of Operations Research, 313, 1141–1158. [SCI]

14. Chung, M., Lee, Y., Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2022). The effects of errors in means, variances, and correlations on the mean-variance framework. Quantitative Finance, 22(10), 1893-1903. [SSCI]

15. Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2021). Sparse factor model based on trend filtering. Annals of Operations Research, 306, 321-342. [SCI]

16. Kim, J. H., Lee, Y., Bae, J., & Kim, W. C. (2021). Recent trends and perspectives on the Korean asset management industry. The Journal of Portfolio Management, 47(7), 172-183. [SSCI]

17. Kim, J. H., Kang, T., Yu, J., & Fabozzi, F. J. (2021). Analyzing markets with a large public company: The case of South Korea. The Journal of Portfolio Management, 47(7), 162-171. [SSCI]

18. Kim, J. H., Lee, Y., Kim, W. C., & Fabozzi, F. J. (2021). Mean–variance optimization for asset allocation. The Journal of Portfolio Management, 47(5), 24-40. [SSCI]

19. Yu, J., Lee, G., & Kim, J. H. (2021). Towards personal financial sustainability based on human capital analysis in Korea. Sustainability, 13(5), 2700. [SSCI]

20. Lee, Y., Kim, W. C., & Kim, J. H. (2020). Achieving portfolio diversification for individuals with low financial sustainability. Sustainability, 12(17), 7073. [SSCI]

21. Kim, W. C., Kwon, D., Lee, Y., Kim, J. H., & Lin, C. (2020). Personalized goal-based investing via multi-stage stochastic goal programming. Quantitative Finance, 20(3), 515-526. [SSCI]

22. Lee, Y., Kim., M. J., Kim, J. H., Jang, J. R., & Kim, W. C. (2020). Sparse and robust portfolio selection via semi-definite relaxation. Journal of the Operational Research Society, 71(5), 687-699. [SCI] 

23. Kim, J. H., Kim, W. C., & Kim, J. (2019). A practical solution to improve the nutritional balance of Korean dine-out menus using linear programming. Public Health Nutrition, 22(6), 957-966. [SCIE] 

24. Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2018). Recent advancements in robust optimization for investment management. Annals of Operations Research, 266(1-2), 183-198. [SCI] 

25. Kim, J. H., Kim, W. C., Kwon, D. G., & Fabozzi, F. J. (2018). Robust equity portfolio performance. Annals of Operations Research, 266(1-2), 293-312. [SCI] 

26. Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2017). Robust factor-based investing. The Journal of Portfolio Management, 43(5), 157-164. [SSCI] 

27. Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2017). Penalizing variances for higher dependency on factors. Quantitative Finance, 17(4), 479-489. [SSCI] 

28. Kwon, D. G., Kim, J. H., Lee, Y., & Kim, W. C. (2017). Modeling the dynamics of institutional, foreign, and individual investors through price consensus. International Review of Financial Analysis, 49, 166-175. [SSCI] 

29. Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2016). Portfolio selection with conservative short-selling. Finance Research Letters, 18, 363-369. [SSCI] 

30. Kim, M. J., Lee, Y., Kim, J. H., & Kim, W. C. (2016). Sparse tangent portfolio selection via semi-definite relaxation. Operations Research Letters, 44(4), 540-543. [SCI] 

31. Kim, W. C., Kim, J. H., Mulvey, J. M., & Fabozzi, F. J. (2015). Focusing on the worst state for robust investing. International Review of Financial Analysis, 39, 19-31. [SSCI] 

32. Kim, W. C., Kim, J. H., & Fabozzi, F. J. (2014). Deciphering robust portfolios. Journal of Banking and Finance, 45, 1-8. [SSCI] 

33. Kim, W. C., Kim, M. J., Kim, J. H., & Fabozzi, F. J. (2014). Robust portfolios that do not tilt factor exposure. European Journal of Operational Research, 234(2), 411-421. [SCIE] 

34. Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2014). Recent developments in robust portfolios with a worst-case approach. Journal of Optimization Theory and Applications, 161(1), 103-121. [SCI] 

35. Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2013). Composition of robust equity portfolios. Finance Research Letters, 10(2), 72-81. [SSCI] 

36. Kim, W. C., Kim, J. H., Ahn, S. H., & Fabozzi, F. J. (2013). What do robust equity portfolio models really do? Annals of Operations Research, 205(1), 141-168. [SCI] 

Coauthored Book

• Kim, W. C., Kim, J. H., & Fabozzi, F. J. (2015). Robust Equity Portfolio Management + Website: Formulations, Implementations, and Properties using MATLAB. John Wiley & Sons.

• "스마트 세상을 여는 산업공학 시즌 2" (2024), 교문사

Domestic Papers

1. 김장호 (2021). 국민연금기금의 인공지능 활용에 관한 연구. 국민연금연구원 용역보고서 2020-05.

2. Yu, J., Hong, J., Lee, Y., & Kim, J. H. (2019). Lifetime financial planning with human capital in Korea, Journal of the Korean Institute of Industrial Engineers, 45(5), 376-386 .

3. Bae, G. I., Lee, Y., Kim, J., Kim, W. C., Kim, M. J., & Kim, J. H. (2015). Anatomy of robo-advisor: 적용기술의 타당성을 중심으로. IE Magazine, 22(4), 28-36.

4. Kwon, D., Kim, M. J., Kim, J. H., Lee, Y., Lee, Y. H., & Kim, W. C. (2011) Strengthening financial markets by analyzing the causes of major global financial disasters. KAIST Technical Report.

Conference Presentations (until 2018)

1. “How Much Money Makes a Diversified Portfolio: The Case of Korea,” Korean Institute of Industrial Engineers Conference, Hanyang University, November 2018.

2. “Analyzing Portfolio Efficiency Through Linear Regression,” Korean Institute of Industrial Engineers Conference, Hanyang University, November 2018.

3. “Survey on Investor Risk Appetite Methods for Portfolio Management,” Korean Institute of Industrial Engineers Conference, Hanyang University, November 2018.

4. “Korean Market Factor Analysis by Analyzing the Largest Company,” Korean Institute of Industrial Engineers Conference, Hanyang University, November 2018.

5. “Multi-Stage Stochastic Goal Programming Explained: Holistic Approach for Goal-Based Investing,” Four University Rotating FinTech Conference, Seoul, April 2018.

6.  “Analyzing the Relationship Between Robust Portfolios and Market Factors in Korea,” Korean Institute of Industrial Engineers Conference, KAIST, November 2017.

7. “Bond Portfolio Management Using the Nelson-Siegel Model,” Korean Institute of Industrial Engineers Conference, KAIST, November 2017.

8. “Robust Portfolio Models,” Four University Rotating FinTech Conference: Wealth Management Systems for Individual Investors, Princeton, NJ, USA, April 2017.

9. “Analyze the Diversification Effect in Korea,” Korean Institute of Industrial Engineers Conference, Korea University, November 2016.

10. “Higher Factor Dependency of Robust Portfolios for Achieving Robustness,” International Conference on Continuous Optimization (ICCOPT), Tokyo, Japan, August 2016.

11. “On the Viability of Robo-advising for Individual Investors,” MSIE Spring Conference, Jeju, April 2016.

12. “Sparse and Robust Portfolio Selection via Semi-definite Relaxation,” MSIE Spring Conference, Jeju, April 2016.

13. “Anatomy of Robo-Advisor,” Korean Institute of Industrial Engineers Conference, Yonsei University, Seoul, November 2015. 

14. “Robust Equity Portfolio Performance,” Korean Institute of Industrial Engineers Conference, Yonsei University, Seoul, November 2015. 

15. “Composition of Robust Equity Portfolios,” Management Science and Industrial Engineering Spring Conference, Yeosu, May 2013.

16. “What Do Robust Equity Portfolio Models Really Do?,” Korean Institute of Industrial Engineers Conference, Soongsil University, Seoul, November 2011.